Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0944 |
| Annualized Std Dev | 0.2406 |
| Annualized Sharpe (Rf=0%) | 0.3923 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3579.0000 |
| NAs | 1.0000 |
| Minimum | -0.1293 |
| Quartile 1 | -0.0063 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1291 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0152 |
| Skewness | -0.3021 |
| Kurtosis | 7.3132 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.5900 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0364 |
| Modified VaR (95%) | -0.0235 |
| Modified ES (95%) | -0.0430 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-06 | 2012-03-26 | -0.5900 | 1195 | 438 | 757 |
| 2018-09-28 | 2020-03-18 | 2020-08-05 | -0.5211 | 457 | 362 | 95 |
| 2015-08-06 | 2016-02-08 | 2017-11-21 | -0.2514 | 571 | 128 | 443 |
| 2020-10-16 | 2020-10-30 | 2020-11-19 | -0.1438 | 25 | 11 | 14 |
| 2014-09-03 | 2014-10-13 | 2014-11-28 | -0.1405 | 62 | 29 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.3 | -1.1 | -0.6 | -3 |
| 2007 | 0.8 | -0.4 | 0.2 | 0.2 | 0.5 | -0.8 | -0.4 | 0.3 | 0.7 | -2.9 | 1.1 | -0.4 | -1.3 |
| 2008 | 1.9 | -2.2 | 3.6 | 2.6 | -0.6 | 0.2 | -1.4 | -0.8 | 4.9 | 5.6 | -8.1 | 3.4 | 8.6 |
| 2009 | -3.2 | 0.3 | -0.2 | -1.1 | 4.6 | 0.8 | 0.1 | -2 | -2.5 | -2.7 | 1.4 | -0.8 | -5.2 |
| 2010 | 1.9 | 1.8 | 0.1 | -3 | -3 | -0.3 | 0.4 | 3.4 | 0.5 | -0.2 | 1.6 | -0.4 | 2.7 |
| 2011 | 1.9 | -1.9 | 0.4 | 0.1 | -0.8 | 1.7 | -0.4 | -1.8 | -2.1 | -2.5 | 0.6 | 0.1 | -4.7 |
| 2012 | 1.5 | 0.5 | 0.2 | 1.8 | -3.2 | 2.6 | -0.4 | -0.3 | 0.8 | 2 | -0.3 | 2.1 | 7.5 |
| 2013 | 0.7 | -0.6 | -1.1 | -0.2 | 0.3 | 1.2 | 1.8 | -0.8 | 1.2 | -0.4 | 0.3 | 0.1 | 2.5 |
| 2014 | 0.2 | -0.3 | 2.5 | 0.8 | -0.4 | 1.4 | 0.2 | -0.1 | -2.4 | 1.6 | -2.1 | -0.5 | 0.7 |
| 2015 | -3.2 | -0.5 | -0.8 | 1.7 | 0.5 | 0.7 | 0.4 | -2.5 | 0.4 | 0 | 1.1 | -1 | -3.3 |
| 2016 | 0.6 | 2.5 | -0.1 | -0.9 | 0.3 | 0.6 | -0.2 | 0.3 | 0.7 | -0.9 | -1 | -1.1 | 0.7 |
| 2017 | -0.8 | 1.1 | 0.3 | -0.1 | 0 | 0.6 | 0.1 | 0.7 | -0.2 | -0.1 | -0.2 | -0.7 | 0.6 |
| 2018 | 0.1 | -2.3 | 1.8 | -1 | 0.8 | 0.1 | -0.7 | 0.9 | -1.2 | 1.3 | -0.4 | 0.5 | -0.4 |
| 2019 | 0.3 | 0.4 | 0.4 | -1 | -0.7 | 0.6 | -1.3 | -1.4 | -0.6 | 0.9 | 0.6 | -0.6 | -2.4 |
| 2020 | -0.8 | -4 | -3.4 | -2 | 2.8 | 3.2 | 0.6 | 3.6 | 2.8 | -4 | 0.3 | -1.3 | -2.7 |
| 2021 | 1.9 | 5.5 | 2.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
